https://scholars.lib.ntu.edu.tw/handle/123456789/414420
標題: | Almost marginal conditional stochastic dominance | 作者: | Denuit M.M. Huang R.J. Tzeng L.Y. Wang C.W. |
關鍵字: | Almost stochastic dominance;Asset allocation;Marginal conditional stochastic dominance;Optimal investment | 公開日期: | 2014 | 卷: | 41 | 期: | 1 | 起(迄)頁: | 57-66 | 來源出版物: | Journal of Banking and Finance | 摘要: | Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the conditions under which all risk-averse individuals prefer to increase the share of one risky asset over another in a given portfolio. In this paper, we extend this concept to provide conditions under which most (and not all) risk-averse investors behave in this way. Instead of stochastic dominance rules, almost stochastic dominance is used to assess the superiority of one asset over another in a given portfolio. Switching from MCSD to Almost MCSD (AMCSD) helps to reconcile common practices in asset allocation and the decision rules supporting stochastic dominance relations. A financial application is further provided to demonstrate that using AMCSD can indeed improve investment efficiency. ? 2013 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414420 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2013.12.014 |
顯示於: | 財務金融學系 |
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